Most of the Facebook users doesn’t know they can’t delete Facebook messages form the inbox with a single click. Hence we can recover previously deleted messages with few steps. So don’t worry if you have accidentally deleted a important conversation.
When you click on the little cross button against Facebook messages in your inbox, it doesn’t delete the message. What it does is move that message to Archived Section.
As following picture you can switch between Archived and other sections. Now Select Archived.
From there you can restore conversations that you want back in to the inbox.